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1 |
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簡介
Introduction |
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閱讀教學大綱、BKM第1章到第2章、Merton(1990)和Sharpe( 1995)
Read Course Syllabus, BKM chapters 1-2, Merton (1990) and Sharpe (1995) |
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2 |
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證券分析，華爾街上的隨機走勢
Securities, Random Walk on Wall Street |
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閱讀BKM第3章和第5章、Fama (1995)和 Kritzman (1993)
Read BKM chapters 3 and 5, Fama (1995) and Kritzman (1993). |
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金融理論
Financial Theories |
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3 |
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投資組合理論，第1單元：設定問題
Portfolio Theory, Part 1: Setting Up the Problem |
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閱讀BKM第6章和第7章、Elton與Gruber (2000) 和 Kritzman (1992)
Read BKM chapters 6 and 7, Elton and Gruber (2000) and Kritzman (1992). |
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4 |
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投資組合理論，第2單元：偏態偏愛與動態的再平衡
Portfolio Theory, Part 2: Skewness Preference and Dynamic Rebalancing |
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閱讀BKM第6章附錄A與附錄B、Black (1995)
Read BKM Appendix A, B of chapter 6, Black (1995). |
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5 |
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投資組合理論，第3單元：多風險資產
Portfolio Theory, Part 3: Multiple Risky Assets |
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閱讀BKM第8章、Kritzman(1994)和Kritzman(1991)
Read BKM chapter 8, Kritzman (1994) and Kritzman (1991). |
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6 |
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CAPM與APT，第1單元︰理論
The CAPM and APT, Part 1: Theory |
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閱讀BKM第6章到第11章，Roll與Ross (1995) 和 Kritzman (1991)
Read BKM chapters 9-11, Roll and Ross (1995) and Kritzman (1991). |
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7 |
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CAPM與APT，第2單元︰應用和測試
The CAPM and APT, Part 2: Applications and Tests |
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閱讀BKM第13章，Jagannathan與McGrattan(1995) 和 Kritzman(1993)
Read BKM chapter 13, Jagannathan and McGrattan (1995) and Kritzman (1993). |
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股票和股票選擇權
Equity and Equity Options |
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8 |
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股票市場，第1單元：在股票橫截面中的模式
The Equity Market, Part 1: Patterns in the Cross-Section of Stock |
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報酬部份請閱讀Fama and French (1992)
Returns Read Fama and French (1992). |
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9 |
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股票市場，第2單元：更多在股票報酬橫截面中的模式
The Equity Market, Part 2: More Patterns in the Cross-Section of Stock Returns |
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閱讀Cochrane (1999)，Kritzman (1991a)和 Kritzman (1991b).
Read Cochrane (1999), Kritzman (1991a) and Kritzman (1991b). |
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10 |
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股票選擇權，第1單元：介紹
Equity Options, Part 1: Introduction |
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閱讀BKM第20章
Read BKM chapter 20. |
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11 |
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股票選擇權，第2單元：實證，波動性
Equity Options, Part 2: Empirical Evidence, Volatility |
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閱讀BKM第21章
Read BKM chapter 21. |
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12 |
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期中考
Mid-term Exams |
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固定收益與信用敏感的工具
Fixed-Income and Credit-Sensitive Instruments |
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13 |
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固定收益市場，第1單元：介紹
The Fixed Income Market, Part 1: Introduction |
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閱讀BKM第14章，Kritzman(1993)
Read BKM chapter 14, Kritzman (1993). |
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14 |
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固定收益市場，第2單元：收益曲線
The Fixed Income Market, Part 2: The Yield Curve |
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閱讀BKM第15章，Kao(1993)
Read BKM chapter 15, Kao (1993). |
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15 |
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期貨、換匯、利率上限／利率下限、利率交換選擇權與其他衍生性金融商品
Futures, Swaps, Caps/Floors, Swaptions, and Other Derivatives |
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閱讀BKM第22章、第23章
BKM chapters 22 and 23. |
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16 |
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信用市場，第1單元：違約風險、信用價差及評等遷移
The Credit Market, Part 1: Default Risk, Credit Spreads and Ratings Transitions |
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閱讀Duffie and Grleanu (2001)
Read Duffie and Grleanu (2001). |
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17 |
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信用市場，第2單元：信用衍生性金融商品
The Credit Market, Part 2: Credit Derivatives |
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閱讀Reyfman 與 Toft (2001) 和 Altman, Caouette, Narayanan (1998).
Read Reyfman and Toft (2001) and Altman, Caouette, Narayanan (1998). |
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“主動”投資和市場效率
"Active" Investments and Market Efficiency |
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18 |
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市場效率
Market Efficiency |
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閱讀BKM第12章，Rubinstein (2001)和Daniel與Titman (1999)和Fama (1998)
Read BKM chapter 12, Rubinstein (2001) and Daniel and Titman (1999) and Fama (1998). |
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19 |
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證券分析與股票選擇權
Security Analysis and Stock Selections |
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閱讀BKM第17章到第19章，商業週刊(2001)
Read BKM chapters 17-19 and Business Week (2001). |
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20 |
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主動的投資組合管理
Active Portfolio Management |
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閱讀BKM第26、27章，Thomas (2000)和Waring,Whitney,Pirone與Castille (2000)
Read BKM chapters 26 and 27, Thomas (2000), Waring, Whitney, Pirone and Castille (2000). |
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21 |
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避險基金與自營買賣
Hedge Funds and Proprietary Trading |
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閱讀Kritzman (1994a)，Kritzman (1994b)，Ross (1999) 和 Perrold (1999)
Read Kritzman (1994a), Kritzman (1994b), Ross (1999) and Perrold (1999). |
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22 |
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風險管理
Risk Management |
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閱讀BKM第27章，Chow與Kritzman (2001)，Bernstein (1995)
Read BKM chapter 27, Chow and Kritzman (2001), Bernstein (1995). |
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23 |
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商品
Commodity |
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閱讀BKM第22章與第23章
Read BKM chapters 22 and 23. |
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行為財務學與總結
Behavioral Finance and Summary |
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24 |
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行為財務學
Behavioral Finance |
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閱讀Statman (1999)
Read Statman (1999). |
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25 |
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總結與評論
Summary and Review |
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26 |
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溫習
Repetition |
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27 |
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期末考試
Final Exams |
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